Risk Neutral Pricing and Financial Mathematics: A Primer

Glossary of Terms

Absolutely continuous is said to be absolutely continuous with respect to if for each event ϕ in $ℱ$, p(ϕ)=0⇒q(ϕ)=0.

Adapted process A stochastic process X_t is said to be adapted to a filtration $\left\{{ℱ}_t\right\}$ if its values only depend upon information up to time t (cannot see into the future).

American option Can be exercised any time prior ...